Gregor Kastner : Citation Profile


Are you Gregor Kastner?

WU Wirtschaftsuniversität Wien

6

H index

2

i10 index

129

Citations

RESEARCH PRODUCTION:

3

Articles

14

Papers

RESEARCH ACTIVITY:

   8 years (2011 - 2019). See details.
   Cites by year: 16
   Journals where Gregor Kastner has often published
   Relations with other researchers
   Recent citing documents: 52.    Total self citations: 12 (8.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pka1304
   Updated: 2019-10-06    RAS profile: 2019-04-10    
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Relations with other researchers


Works with:

Huber, Florian (9)

Feldkircher, Martin (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gregor Kastner.

Is cited by:

Huber, Florian (44)

Pfarrhofer, Michael (14)

Feldkircher, Martin (12)

Punzi, Maria Teresa (9)

Krištoufek, Ladislav (6)

Janda, Karel (6)

Kaufmann, Daniel (6)

Conti, Gabriella (5)

Zens, Gregor (5)

Zilberman, David (5)

Heckman, James (5)

Cites to:

Korobilis, Dimitris (15)

Koop, Gary (13)

Shephard, Neil (11)

Omori, Yasuhiro (7)

Huber, Florian (7)

Nakajima, Jouchi (6)

Rossi, Peter (6)

Conti, Gabriella (5)

Heckman, James (5)

Feldkircher, Martin (5)

Clark, Todd (4)

Main data


Where Gregor Kastner has published?


Working Papers Series with more than one paper published# docs
Papers / arXiv.org8
Department of Economics Working Paper Series / WU Vienna University of Economics and Business2
Department of Economics Working Papers / Vienna University of Economics and Business, Department of Economics2

Recent works citing Gregor Kastner (2019 and 2018)


YearTitle of citing document
2041Biofuels: review of policies and impacts. (2041). Krištoufek, Ladislav ; Janda, Karel ; Zilberman, David. In: CUDARE Working Papers. RePEc:ags:ucbecw:120415.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2018A Neural Stochastic Volatility Model. (2018). Luo, Rui ; Wang, Jun ; Xu, Xiaojun ; Zhang, Weinan. In: Papers. RePEc:arx:papers:1712.00504.

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2018Implications of macroeconomic volatility in the Euro area. (2018). Zens, Gregor ; Pfarrhofer, Michael ; Stelzer, Anna ; Bock, Maximilian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1801.02925.

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2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

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2019Dealing with cross-country heterogeneity in panel VARs using finite mixture models. (2018). Huber, Florian. In: Papers. RePEc:arx:papers:1804.01554.

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2018Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp. In: Papers. RePEc:arx:papers:1805.10822.

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2018The transmission of uncertainty shocks on income inequality: State-level evidence from the United States. (2018). Pfarrhofer, Michael ; Huber, Florian ; Fischer, Manfred. In: Papers. RePEc:arx:papers:1806.08278.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Rego, Arthur T ; Dos, Thiago R. In: Papers. RePEc:arx:papers:1809.01501.

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2019Bayesian shrinkage in mixture of experts models: Identifying robust determinants of class membership. (2019). Zens, Gregor. In: Papers. RePEc:arx:papers:1809.04853.

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2018Benchmarking Deep Sequential Models on Volatility Predictions for Financial Time Series. (2018). Zhang, Qiang ; Liu, Yuanyuan ; Yang, Yaodong ; Luo, Rui. In: Papers. RePEc:arx:papers:1811.03711.

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2019Bayesian prediction of jumps in large panels of time series data. (2019). Papaspiliopoulos, Omiros ; Dellaportas, Petros ; Alexopoulos, Angelos. In: Papers. RePEc:arx:papers:1904.05312.

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2019Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2019Measuring international uncertainty using global vector autoregressions with drifting parameters. (2019). Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:1908.06325.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Discussion Papers. RePEc:cfm:wpaper:1808.

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2018Does time-variation matter in the stochastic volatility components for G7 stock returns. (2018). Salisu, Afees ; Ogbonna, Ahamuefula. In: Working Papers. RePEc:cui:wpaper:0062.

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2018Extended dynamic generalized linear models: The two-parameter exponential family. (2018). Souza, M. A. O., ; Pereira, J. B. M., ; Migon, H S. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:121:y:2018:i:c:p:164-179.

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2018Sequential Bayesian inference for static parameters in dynamic state space models. (2018). Bhattacharya, Arnab ; Wilson, Simon P. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:187-203.

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2018Debt regimes and the effectiveness of monetary policy. (2018). Huber, Florian ; de Luigi, Clara. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:218-238.

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2019Nonlinear dependence in cryptocurrency markets. (2019). Laurini, Márcio ; Chaim, Pedro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:32-47.

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2018Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163.

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2019Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification. (2019). Schumacher, Christian ; Kaufmann, Sylvia. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:116-134.

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2019Forecast density combinations of dynamic models and data driven portfolio strategies. (2019). Hoogerheide, L ; Grassi, S ; Borowska, A ; Baturk, N ; van Dijk, H K. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:170-186.

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2019Achieving shrinkage in a time-varying parameter model framework. (2019). Fruhwirth-Schnatter, Sylvia ; Bitto, Angela. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:75-97.

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2019A Harris process to model stochastic volatility. (2019). Mena, Ramses H ; Anzarut, Michelle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:151-169.

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2018Improving forecasting performance using covariate-dependent copula models. (2018). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:456-476.

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2018Conducting highly principled data science: A statistician’s job and joy. (2018). Meng, Xiao-Li. In: Statistics & Probability Letters. RePEc:eee:stapro:v:136:y:2018:i:c:p:51-57.

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2019The relationship between fuel and food prices: Methods, outcomes, and lessons for commodity price risk management. (2019). Krištoufek, Ladislav ; Janda, Karel ; Kristoufek, Ladislav. In: CAMA Working Papers. RePEc:een:camaaa:2019-20.

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2019Minnesota-type adaptive hierarchical priors for large Bayesian VARs. (2019). , Joshua . In: CAMA Working Papers. RePEc:een:camaaa:2019-61.

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2018Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87393.

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2018On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474.

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2019Bayesian Analysis of Coefficient Instability in Dynamic Regressions. (2019). Taboga, Marco ; Ciapanna, Emanuela. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:3:p:29-:d:243958.

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2018Measuring the Time-Frequency Dynamics of Return and Volatility Connectedness in Global Crude Oil Markets. (2018). Toyoshima, Yuki ; Hamori, Shigeyuki. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:11:p:2893-:d:178030.

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2018Unconventional U.S. Monetary Policy: New Tools, Same Channels?. (2018). Huber, Florian ; Feldkircher, Martin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:71-:d:178738.

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2018Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model. (2018). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Cuaresma, Jesus Crespo. In: Discussion Paper Series in Economics. RePEc:hhs:nhheco:2018_031.

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2018Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2018). Mitchell, James ; Poon, Aubrey ; McIntyre, Stuart ; Koop, Gary. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2018-14.

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2019Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage. (2019). Gefang, Deborah ; Poon, Aubrey ; Koop, Gary. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2019-07.

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2019How useful are time-varying parameter models for forecasting economic growth in CESEE?. (2019). Feldkircher, Martin ; Hauzenberger, Nico. In: Focus on European Economic Integration. RePEc:onb:oenbfi:y:2019:i:q1/19:b:2.

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2019The transmission of uncertainty shocks on income inequality: State-level evidence from the United States. (2019). Pfarrhofer, Michael ; Huber, Florian ; Fischer, Manfred. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_004.

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2018Spillovers from US monetary policy: Evidence from a time-varying parameter GVAR model. (2018). Huber, Florian ; Feldkircher, Martin ; Doppelhofer, Gernot ; Crespo Cuaresma, Jesus. In: Working Papers in Economics. RePEc:ris:sbgwpe:2018_006.

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2018Bayesian vector autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/27od5pb99881folvtfs8s3k16l.

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2018Implications of macroeconomic volatility in the Euro area. (2018). Zens, Gregor ; Pfarrhofer, Michael ; Stelzer, Anna ; Bock, Maximilian ; Hauzenberger, Niko. In: ESRB Working Paper Series. RePEc:srk:srkwps:201880.

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2018Shall We Twist?. (2018). Sophie, Simon Beyeler. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1825.

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2018Implications of Macroeconomic Volatility in the Euro Area. (2018). Gregor Zens Author-Email: gzens@wu. ac. at Author-, . In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp261.

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2019Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2019). Tondl, Gabriele ; Lukmanova, Elizaveta ; Feldkircher, Martin. In: Department of Economics Working Papers. RePEc:wiw:wiwwuw:wuwp289.

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2018Implications of Macroeconomic Volatility in the Euro Area. (2018). Hauzenberger, Niko ; Zens, Gregor ; Stelzer, Anna ; Pfarrhofer, Michael ; Bock, Maximilian. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:6246.

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2019Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2019). Tondl, Gabriele ; Lukmanova, Elizaveta ; Feldkircher, Martin. In: Department of Economics Working Paper Series. RePEc:wiw:wus005:7090.

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2018Bayesian Vector Autoregressions. (2018). Ricco, Giovanni ; Miranda-Agrippino, Silvia. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1159.

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2019Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017. (2019). Poon, Aubrey ; Mitchell, James ; McIntyre, Stuart ; Koop, Gary. In: EMF Research Papers. RePEc:wrk:wrkemf:20.

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2017Large-scale portfolio allocation under transaction costs and model uncertainty. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: CFS Working Paper Series. RePEc:zbw:cfswop:582.

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2017Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information. (2017). Hautsch, Nikolaus ; Voigt, Stefan. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168222.

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Works by Gregor Kastner:


YearTitleTypeCited
2011EUROPEAN RAPESEED AND FOSSIL DIESEL: THRESHOLD COINTEGRATION ANALYSIS AND POSSIBLE IMPLICATIONS In: 51st Annual Conference, Halle, Germany, September 28-30, 2011.
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2017Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models In: Papers.
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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models In: Papers.
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2018Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models.(2018) In: Working Papers in Economics.
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This paper has another version. Agregated cites: 2
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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model.(2016) In: Department of Economics Working Papers.
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2016Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model.(2016) In: Department of Economics Working Paper Series.
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2017Sparse Bayesian time-varying covariance estimation in many dimensions In: Papers.
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2019Sparse Bayesian time-varying covariance estimation in many dimensions.(2019) In: Journal of Econometrics.
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2018Sparse Bayesian vector autoregressions in huge dimensions In: Papers.
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2017Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models In: Papers.
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2014Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models.(2014) In: Computational Statistics & Data Analysis.
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2017Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs? In: Papers.
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2018Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?.(2018) In: Department of Economics Working Papers.
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This paper has another version. Agregated cites: 2
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2018Sophisticated and small versus simple and sizeable: When does it pay off to introduce drifting coefficients in Bayesian VARs?.(2018) In: Department of Economics Working Paper Series.
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This paper has another version. Agregated cites: 2
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2019Introducing shrinkage in heavy-tailed state space models to predict equity excess returns In: Papers.
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2019Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage In: Papers.
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2016Dealing with Stochastic Volatility in Time Series Using the R Package stochvol In: Journal of Statistical Software.
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